Nice to hear from you.
Should be asleep but I ain’t sleeping too well of late I’ll tell you. I’ll know early next week if this deal can be resurrected or not. If not I’m done for I’ll tell you. I’d have to make in excess of 60% per month to survive and that ain’t going to happen. And I’m not even going to take the chance and try because we know where that will end for sure. As I joked with somebody else just yesterday: if that’s the alternative I may as well withdraw everything and live it up for the next month. At least I’d get some joy from that. I hate to think that I spent the last days worrying like this!!! LOL!!!
Anyway. Until whatever we plod along.
I looked for your post there but couldn’t find it. I think he maybe has to publish comments (forget what the word is). But I have spent the wee hours reading through all of the comments on those various links. Jeepers. Some of those dudes sure do give Jeff a flipping hard time. And for what reason is beyond me. The guy is just providing a baseline for an RSI(2) based system and nothing more. And he is showing that it’s a pretty robust baseline i.e. adjusting different parameters doesn’t skew things out of all proportion one way or the other which proves it’s pretty robust. This unlike those curve fitted ideas where, for example, changing an EMA to an SMA makes the difference between night and day but only for a certain given period and then it all falls over the next. Maybe you and I should try get more involved over there.
A few things stand out though from those comments and his responses:
Only one guy briefly mentions TPS and doesn’t elaborate further. As I am sure you are aware: TPS is actually only the entry method and not a trading system in and of itself. And it can be applied to any of Connors’ trading systems (possibly even to other trading systems). I believe it is the reason for the profitability of what I am (you are) doing. Simply taking one position based on RSI(2) will yield the results that Jeff is publishing and nothing more.
One thing I disagree with is that Jeff says that the baseline (let’s call it that) will only work on US Indices. That may or may not be true but my experience with what I am doing here is way different. Some of the best trades over these past years have been on things like Italy, Spain, and Japan. But again I believe this has a lot do to with the TPS entry method and not so much that RSI(2) is ultra accurate.
All of those dudes seem to be having an issue understanding and choosing the instruments to be trading. It is a bit cold here now but later today when I am at my PC I’ll update my spreadsheets to current data for this coming week that show position sizing, the correlation to a fixed risk amount, and how to select the top four to six instruments to be traded out of a basket on Indices. I honestly believe I have found some sweet spots with all of this thanks to James’ hard work. Did play around a bit with different account sizes yesterday though. Must say that my findings put risk vs. position sizes in very clear perspective. One would think that with a $100K account you’d be trading big but not so actually. Not unless you want to end up with wild equity swings and flirt with margin calls. Not for me I’m afraid. Don’t have the stomach for it anymore.
I do think that my success with this lies partially in the fact that I am trading multiple instruments at any one given time as opposed to only trading, for example, the S&P. This seems to have eluded most of those guys over there. Simply put: my exposure at any one time is greater which obviously magnifies results (either way).
I found it interesting that Jeff emphatically states that this WILL NOT WORK ON FOREX!!! I feel that my trading life’s work and all of my rantings and ravings on this issue have been validated!!!
I found it interesting that he notes that this (well: the baseline version) will work on ETFs, Futures, and Cash. I concur with this.
Interesting to note that some of dudes have spent time comparing results with RSI and ConnorsRSI. This is something I have always wondered about but never bothered with. Matter of fact when I bought Connors’ book on ConnorsRSI I was totally put off. Seemed to me he was trying to peddle a revamped version of something that really did not need improving this in spite of him going to great lengths to prove otherwise. Anyway: more than one over there have tested and the differences in performance are negligible at best. In one case performance was actually degraded when using ConnorsRSI. Sounds about right to me based on what I saw anyway.
One comment that really stood out to me was where one of the dudes states that he has done away with the 200-day SMA filter. He even goes so far as to say that he spoke with Connors about this and he was told that it wasn’t necessary. He also stated that this doesn’t appear in any of Connors’ other works. I’m not sure of the validity of what he is saying re: having spoken with Connors but my experience is ignore that filter at your peril. It may be fine to ignore under normal market conditions. But when the markets move as they did last week or last year in December (as but two examples) that 200-day SMA definitely is a life saver. But the guy does also state that without it the swings are much wider as is maximum drawdown. This I can also attest to because I have indeed been tempted to ignore this filter on occasion and that is indeed what I saw in practice. Here I must qualify though and state that the implementation of a hard stop may facilitate the removal of the filter though.
Another of James’ interesting findings was that by simply changing RSI thresholds for entry: the number of trades could be increased substantially but oddly enough profitability did not change materially. In other words: only thing that really changed was the cost of trading. Once again proves robustness of the concept. But very interesting to me. And this is where my Welles Wilder method of rating which instruments to be traded comes in which ranks them according to volatility, margin requirements, and trading costs. Will show you later today.
Hmmmnnn… In just proof reading the above before posting: I’ve done so much work studying this darn thing and finessing it. Maybe I should bundle it up, get somebody to code it into all the different platforms, and flog it. May be a solution to my problems once and for all!!! LOL!!! Or sell it back to Connors!!! LOL!!!